Kenneth R. Jackson

Publication Activity (10 Years)

Years Active: 1986-2020
Publications (10 Years): 2

Top Topics

Highly Efficient

Stochastic Differential Equations

Graphics Processors

Gpu Implementation

Top Venues

Concurr. Comput. Pract. Exp.

J. Comput. Appl. Math.

SIAM J. Financial Math.

Numer. Algorithms

Publications

David Farahany, Kenneth R. Jackson, Sebastian Jaimungal
Mixing LSMC and PDE Methods to Price Bermudan Options. SIAM J. Financial Math. 11 (1) (2020)
Seyed Amir Hejazi, Kenneth R. Jackson
Efficient valuation of SCR via a neural network approach. J. Comput. Appl. Math. 313 (2017)
Silvana Ilie, Kenneth R. Jackson, Wayne H. Enright
Adaptive time-stepping for the strong numerical solution of stochastic differential equations. Numer. Algorithms 68 (4) (2015)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. Concurr. Comput. Pract. Exp. 26 (9) (2014)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives. ICCSA (5) (2013)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options. Concurr. Comput. Pract. Exp. 24 (8) (2012)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson, Asif Lakhany
A PDE pricing framework for cross-currency interest rate derivatives. ICCS (1) (2010)
Wayne B. Hayes, Kenneth R. Jackson
A Fast Shadowing Algorithm for High-Dimensional ODE Systems. SIAM J. Sci. Comput. 29 (4) (2007)
Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov
Option Valuation using Fourier Space Time Stepping CoRR (2007)
Markus Neher, Kenneth R. Jackson, Nedialko S. Nedialkov
On Taylor Model Based Integration of ODEs. SIAM J. Numer. Anal. 45 (1) (2007)
Anita T. Layton, Christina C. Christara, Kenneth R. Jackson
Quadratic spline methods for the shallow water equations on the sphere: Collocation. Math. Comput. Simul. 71 (3) (2006)
Anita T. Layton, Christina C. Christara, Kenneth R. Jackson
Quadratic spline methods for the shallow water equations on the sphere: Galerkin. Math. Comput. Simul. 71 (3) (2006)
Wayne B. Hayes, Kenneth R. Jackson
Rigorous Shadowing of Numerical Solutions of Ordinary Differential Equations by Containment. SIAM J. Numer. Anal. 41 (5) (2003)
P. H. Muir, R. N. Pancer, Kenneth R. Jackson
PMIRKDC: a parallel mono-implicit Runge-Kutta code with defect control for boundary value ODEs. Parallel Comput. 29 (6) (2003)
Nedialko S. Nedialkov, Kenneth R. Jackson, John D. Pryce
An Effective High-Order Interval Method for Validating Existence and Uniqueness of the Solution of an IVP for an ODE. Reliab. Comput. 7 (6) (2001)
Nedialko S. Nedialkov, Kenneth R. Jackson
An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation. Reliab. Comput. 5 (3) (1999)
Nedialko S. Nedialkov, Kenneth R. Jackson, George F. Corliss
Validated solutions of initial value problems for ordinary differential equations. Appl. Math. Comput. 105 (1) (1999)
Nedialko S. Nedialkov, Kenneth R. Jackson
An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation. SCAN (1998)
Robert F. Enenkel, Kenneth R. Jackson
DIMSEMs - diagonally implicit single-eigenvalue methods for the numerical solution of stiff ODEs on parallel computers. Adv. Comput. Math. 7 (1-2) (1997)
Wayne H. Enright, Kenneth R. Jackson, Syvert P. Nørsett, Per Grove Thomsen
Interpolants for Runge-Kutta formulas. ACM Trans. Math. Softw. 12 (3) (1986)